16. Laura, a bond portfolio manager, administers a $10 million portfolio. The portfolio currently has a dura-

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16. Laura, a bond portfolio manager, administers a $10 million portfolio. The portfolio currently has a dura- tion of 8.5 years. Laura wants to shorten the dura- tion to 6 years using T-bill futures. T-bill futures have a duration of 0.25 years and are trading at $975 (face value $1000). How is this accom- plished?

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Financial Markets and Institutions

ISBN: 978-0321280299

5th edition

Authors: Frederic S. Mishkin, Stanley G. Eakins

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